IBKR Options History — September 2013

In September 2013, IBKR traded between $4.25 and $4.72. ATM implied volatility averaged 21.9%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.0% (HV 20d: 15.8%). Max pain ranged from $4.25 to $4.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 58.60.

Notable Days

  • 2013-09-06: Highest Volume — 12,380 contracts
  • 2013-09-12: Largest IV spike — 80.0% change
  • 2013-09-25: Highest IV Rank — 58.2%
  • 2013-09-09: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.51$4.25$4.72$4.25$4.69
Max Pain$4.46$4.25$4.50$4.25$4.50
ATM IV21.9%12.9%24.0%20.7%24.0%
Expected Move6.5%5.6%7.0%5.9%6.9%
HV 20d15.8%12.1%17.5%15.9%12.1%
HV 60d19.2%15.3%22.0%22.0%15.3%
IV Rank49.8%15.3%58.2%45.4%58.0%
IV Percentile76.8%10.3%88.9%69.4%88.5%
Term Structure0.2%-1.2%4.4%4.3%-0.9%
VWIV23.1%19.4%25.5%24.9%24.7%
Skew 25d4.8%-3.2%10.8%0.1%6.6%
Skew 10d3.0%-0.4%7.9%0.6%5.9%
Call IV 25d17.6%13.2%22.1%16.6%18.5%
Put IV 25d22.4%16.6%26.0%16.6%25.1%
Bid-Ask Spread %17.959.3874.439.3812.98
Gamma HHI0.240.190.290.240.20
Net GEX141.1K83.3K188.8K83.3K169.7K
Net DEX-8.3M-11.5M-4.7M-4.7M-9.9M
Net VEX-61.0K-66.5K-56.3K-66.5K-59.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio58.600.001030.670.000.06
Total Volume1,583.44012,380401,660
Total OI136,700.6129,520142,028129,836136,528

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$4.25$4.2520.7%5.9%15.9%45.4%24.9%0.1%4.3%83.3K-4.7M-66.5K0.009.38N/AN/A40038,82891,008
2013-09-04$4.31$4.2519.4%5.6%16.6%40.3%19.4%4.5%4.4%93.8K-5.7M-65.9K0.0010.40N/AN/A1,192038,83291,008
2013-09-05$4.33$4.2520.8%6.0%16.6%45.7%20.2%6.6%2.6%104.7K-6.2M-64.9K0.0611.53N/AN/A72438,52491,008
2013-09-06$4.31$4.5020.6%6.9%16.3%45.1%0.0%4.4%-0.6%96.9K-5.6M-64.7K1030.6713.21N/AN/A1212,36838,51291,008
2013-09-09$4.34$4.5021.6%7.0%16.0%48.8%24.6%5.9%-1.2%94.9K-5.9M-65.7K0.0012.64N/AN/A2,056438,520101,540
2013-09-10$4.36$4.5022.8%7.0%16.0%53.5%0.0%5.6%-1.0%97.2K-6.0M-65.4K0.0414.26N/AN/A3241238,216101,544
2013-09-11$4.37$4.5012.9%6.8%15.9%15.3%23.2%1.3%-1.1%102.6K-6.6M-62.0K0.5411.32N/AN/A53629238,032101,544
2013-09-12$4.40$4.5023.3%6.7%16.1%55.2%22.5%3.3%-0.1%126.2K-7.3M-60.5K0.459.75N/AN/A37616838,252101,656
2013-09-13$4.47$4.5021.0%6.0%16.4%46.4%0.0%7.4%1.8%149.6K-8.3M-59.6K0.0420.46N/AN/A1,4526438,364101,560
2013-09-16$4.47$4.5023.1%6.6%16.4%54.7%23.3%3.1%-0.6%163.8K-8.5M-59.7K0.0415.28N/AN/A4842039,072101,596
2013-09-17$4.53$4.5021.6%6.2%16.3%48.8%21.6%10.8%1.2%188.8K-9.1M-59.9K0.0622.12N/AN/A1,0846039,328101,588
2013-09-18$4.57$4.5022.6%6.5%16.4%52.5%21.8%-3.2%-0.1%186.6K-9.9M-59.2K0.6316.64N/AN/A1,40488840,000101,640
2013-09-19$4.64$4.5022.8%6.5%16.7%53.6%25.5%3.3%0.3%161.1K-10.4M-60.0K0.1619.70N/AN/A1,22819239,716101,504
2013-09-20$4.72$4.5023.3%6.7%17.4%55.3%24.9%9.0%-0.8%165.0K-11.5M-58.6K0.5025.22N/AN/A78439240,452101,576
2013-09-23$4.70$4.5023.2%6.7%17.5%55.0%22.1%6.0%-0.7%162.3K-10.1M-56.3K0.4022.59N/AN/A45618437,72095,536
2013-09-24$4.71$4.5023.8%6.8%17.5%57.4%0.0%6.1%-1.0%160.9K-10.3M-56.4K0.0874.43N/AN/A7286038,00495,640
2013-09-25$4.69$4.5024.0%6.9%13.9%58.2%24.1%4.4%-1.2%173.1K-10.2M-57.4K135.0012.63N/AN/A81,08038,59295,700
2013-09-26$4.67$4.5023.4%6.7%13.5%55.8%23.9%5.7%-1.2%172.9K-9.8M-58.2K1.9811.75N/AN/A42083238,56096,776
2013-09-27$4.69$4.5022.3%6.4%13.5%51.7%24.7%5.3%0.3%168.5K-10.1M-59.1K1.2012.64N/AN/A33240038,92097,608
2013-09-30$4.69$4.5024.0%6.9%12.1%58.0%0.0%6.6%-0.9%169.7K-9.9M-59.1K0.0612.98N/AN/A1,56010038,92097,608